The title`s pretty self explanatory but there is a "Snap together" option in ZE and I tried it on a Venator prop I downloaded that is broken up into 4 parts and nothing happened. How do use it?

I don't know if this is what you did, but you have to Multi Select all the objects you want, then press the Snap Together button. This method however, will only work if all the pieces share the same origin coordinates (or something like that, I don't know the exact terminology). If they don't, you'll have to put them together manually in Zero Editor.